Nocturnal's appearance wasn't a ghost aspect like most other Daedric Princes, but that is easy to explain since she rises out of the portal to the Evergloam.
Also, Azura appears in person in Morrowind.
Azura has been smoten unto as any void-aperture can be smote at http://www.imperial-library.info/content/trial-vivec.
That opened my eyes, at least.
None of the aspects can be seen as evil, nor can they be seen as good. They are not
whole, they are fragments of what can be aspired to.
Azura depicts herself as fate, though it is not her realm she presumes preknowledge over, she is the desire to see Dawn unto Dusk, she is the want for safety, predictability, man's desire to see a cave with no bears in.